Σύγκριση μεθόδων

	Δοκιμή Μοναδιαίας Ρίζας Bayesian ADF	Έλεγχος Μοναδιαίας Ρίζας Augmented Dickey-Fuller (ADF)
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1991–1992	1979–1984
Δημιουργός	Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992)	Said & Dickey (1984); building on Dickey & Fuller (1979)
Τύπος	Bayesian hypothesis test	Hypothesis test (unit root)
Θεμελιώδης πηγή	Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599.	Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607.
Εναλλακτικές ονομασίες	Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF	ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test
Συναφείς	6	5
Σύνοψη	The Bayesian Augmented Dickey-Fuller (BADF) unit root test re-frames the classical ADF test within a Bayesian framework. Rather than computing a frequentist p-value, it quantifies evidence for or against a unit root by comparing posterior probabilities or Bayes factors under the null (unit root) and alternative (stationarity) hypotheses, incorporating prior beliefs about the autoregressive parameter.	The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance.